Contracts Accounted for as Credit Derivatives (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Credit Derivatives Subordination and Ratings and Net Par Outstanding by Internal Rating

Credit Derivatives (1)

	As of December 31, 2019					As of December 31, 2018 (2)
	Net Par Outstanding		Net Fair Value Asset (Liability)			Net Par Outstanding		Net Fair Value Asset (Liability)
	(in millions)
U.S public finance	$	1,942	$	(83	)	$	1,783	$	(65	)
Non-U.S public finance	2,676		(39		)	2,807		(51		)
U.S structured finance	1,206		(58		)	1,465		(85		)
Non-U.S structured finance	132		(5		)	127		(6		)
Total	$	5,956	$	(185	)	$	6,182	$	(207	)

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(1)    Expected recoveries were $4 million as of December 31, 2019 and $2 million as of December 31, 2018.

(2) Prior year presentation has been conformed to the current year's presentation.

Distribution of Credit Derivative Net Par Outstanding by Internal Rating

	As of December 31, 2019				As of December 31, 2018
Ratings	Net Par Outstanding		% of Total		Net Par Outstanding		% of Total
	(dollars in millions)
AAA	$	1,730	29.0	%	$	1,813	29.4	%
AA	1,695		28.5		1,690		27.3
A	1,110		18.6		1,171		18.9
BBB	1,292		21.7		1,351		21.9
BIG (1)	129		2.2		157		2.5
Credit derivative net par outstanding	$	5,956	100.0	%	$	6,182	100.0	%

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(1) All BIG credit derivatives are U.S. RMBS transactions.

Net Change in Fair Value of Credit Derivatives

Net Change in Fair Value of Credit Derivative Gains (Losses)

	Year Ended December 31,
	2019			2018			2017
	(in millions)
Realized gains on credit derivatives	$	8		$	9		$	17
Net credit derivative losses (paid and payable) recovered and recoverable and other settlements	(35		)	(25		)	(27		)
Realized gains (losses) and other settlements	(27		)	(16		)	(10		)
Net unrealized gains (losses)	21			128			121
Net change in fair value of credit derivatives	$	(6	)	$	112		$	111

CDS Spread on AGC and AGM

CDS Spread on AGC (in bps)

	As of December 31, 2019	As of December 31, 2018	As of December 31, 2017
Five-year CDS spread	41	110	163
One-year CDS spread	9	22	70

Fair Value of Credit Derivatives and Effect of AGC and AGM Credit Spreads

Fair Value of Credit Derivative Assets (Liabilities)

and Effect of AGC

Credit Spread

 

	As of December 31, 2019			As of December 31, 2018
	(in millions)
Fair value of credit derivatives before effect of AGC credit spread	$	(261	)	$	(407	)
Plus: Effect of AGC credit spread	76			200
Net fair value of credit derivatives	$	(185	)	$	(207	)